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OI Suggests Short Setting Dominated Through The SOFR Greens On Wednesday

STIR

The combination of yesterday’s downtick in SOFR futures and preliminary OI data points to a mix of net short setting and long cover through the blues.

  • Short setting dominated in the whites, reds and greens in net pack OI terms, with pockets or long cover seen in the whites and reds.
  • The move came on the back of spill over from firmer-than-expected UK CPI data and digestion of the minutes covering the most recent FOMC decision.
  • That leaves ~40bp of ’24 Fed cuts priced at typing.
22-May-2421-May-24Daily OI ChangeDaily OI Change In Packs
SFRH4937,472936,413+1,059Whites+22,630
SFRM41,229,1601,249,759-20,599Reds+17,556
SFRU41,125,5641,113,251+12,313Greens+30,268
SFRZ41,236,6591,206,802+29,857Blues+395
SFRH5804,078794,105+9,973
SFRM5794,828794,445+383
SFRU5706,459693,589+12,870
SFRZ5817,784823,454-5,670
SFRH6551,702540,874+10,828
SFRM6536,056525,935+10,121
SFRU6432,541424,359+8,182
SFRZ6367,345366,208+1,137
SFRH7253,607253,653-46
SFRM7189,681187,240+2,441
SFRU7173,935175,755-1,820
SFRZ7161,178161,358-180
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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